Nonclassical measurement error with applications to labor and development issues

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Serval ID
serval:BIB_22947A9547A8
Type
PhD thesis: a PhD thesis.
Collection
Publications
Institution
Title
Nonclassical measurement error with applications to labor and development issues
Author(s)
Li Q.
Director(s)
Holly A.
Institution details
Université de Lausanne, Faculté des hautes études commerciales
Address
HEC Lausanne Quartier UNIL-Dorigny Bâtiment Internef CH - 1015 Lausanne
Publication state
Accepted
Issued date
2011
Language
english
Notes
REROID:R006315650
Abstract
Zero correlation between measurement error and model error has been assumed in existing panel data models dealing specifically with measurement error. We extend this literature and propose a simple model where one regressor is mismeasured, allowing the measurement error to correlate with model error. Zero correlation between measurement error and model error is a special case in our model where correlated measurement error equals zero. We ask two research questions. First, we wonder if the correlated measurement error can be identified in the context of panel data. Second, we wonder if classical instrumental variables in panel data need to be adjusted when correlation between measurement error and model error cannot be ignored. Under some regularity conditions the answer is yes to both questions. We then propose a two-step estimation corresponding to the two questions. The first step estimates correlated measurement error from a reverse regression; and the second step estimates usual coefficients of interest using adjusted instruments.
Keywords
Correlated measurement error, instrumental variable, panel data
Create date
25/10/2011 11:43
Last modification date
20/08/2019 13:00
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